Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.1192
Annualized Std Dev 0.3013
Annualized Sharpe (Rf=0%) -0.3955

Row

Daily Return Statistics

Close
Observations 5531.0000
NAs 1.0000
Minimum -0.2096
Quartile 1 -0.0058
Median 0.0007
Arithmetic Mean -0.0003
Geometric Mean -0.0005
Quartile 3 0.0070
Maximum 0.2058
SE Mean 0.0003
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0002
Variance 0.0004
Stdev 0.0190
Skewness -1.1581
Kurtosis 19.3405

Downside Risk

Close
Semi Deviation 0.0146
Gain Deviation 0.0129
Loss Deviation 0.0183
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0148
Downside Deviation (0%) 0.0148
Maximum Drawdown 0.9770
Historical VaR (95%) -0.0271
Historical ES (95%) -0.0513
Modified VaR (95%) -0.0299
Modified ES (95%) -0.0680
From Trough To Depth Length To Trough Recovery
1999-12-27 2020-03-18 NA -0.9770 5291 5037 NA
1999-01-12 1999-06-02 1999-06-21 -0.1182 109 96 13
1999-07-19 1999-08-12 1999-11-18 -0.1083 85 19 66
1999-07-01 1999-07-01 1999-07-06 -0.0381 3 1 2
1999-01-07 1999-01-07 1999-01-11 -0.0275 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -3.3 1 0 -2 -3.8 0 2.8 -0.9 1.4 1.2 2.2 -1.7
2000 5.8 -1 2.7 1.5 0.5 0.5 -1.9 0.5 0.5 -0.6 0 -1 7.4
2001 1 -1.1 3.3 3 -0.1 1.8 0.5 1.3 0 0.7 -0.1 3.9 15
2002 2.6 -0.1 0 1.2 0 -2.3 5.5 0 -0.4 1.1 0 -0.8 6.8
2003 0 0.7 1.3 -0.3 2.9 1.9 -1.4 -0.5 2.8 0.2 -0.1 1.2 8.9
2004 -1 -0.8 1.1 -0.2 1.1 0.4 -0.9 -0.2 1.1 -0.5 0.2 0.4 0.7
2005 0.1 3.2 -0.4 -1 2.5 1.8 0.3 1 0.8 -0.7 1.2 0.6 9.6
2006 0.7 0 -0.3 0.4 0.1 0.3 0 0.5 0.9 0.6 1.3 0.4 5
2007 0.2 0.4 0.7 0.9 0.2 -0.1 -0.5 0.7 0 -0.6 2.9 -1.4 3.3
2008 2 0.9 -0.5 1.2 1.7 -4 -0.6 1 2.5 4.3 -4.7 1.6 5.2
2009 -1.7 0.1 1.7 0.6 2.3 -1.8 0.6 1 0.8 -6.3 1 0.7 -1.3
2010 1 1.8 0.5 -0.7 -0.5 -1.2 0.5 1 0.5 0.4 1.8 1.3 6.5
2011 1.5 0.1 0.9 0.4 0 0.3 1.5 -1.5 0.8 0.1 1.3 -0.2 5.3
2012 1.4 -0.3 0.5 0.1 -0.6 1.9 1 0.7 0.7 1.1 2.1 0 8.8
2013 0 -0.1 0.1 -0.4 0.3 1 0.7 1 0.4 0.6 -1.6 1.1 2.8
2014 -0.6 -0.2 0.8 0.5 0.7 1 0.3 0 -3.6 1.8 -0.4 0 0.1
2015 -0.9 0.2 0 0.4 0.9 1.3 -0.1 -1.1 -0.1 0.6 1.1 0.3 2.7
2016 2.1 1.6 0 0.6 0.1 0.3 1.5 -0.6 0.7 -1.4 0 0 5
2017 0.3 1.2 0.6 0.8 0.4 1.7 0.6 0.1 0.1 0.5 -0.2 0.3 6.5
2018 0.2 -1.4 0.6 0.1 -0.1 -0.4 0.1 -0.1 0.4 2.4 1.5 1.1 4.4
2019 0.8 0.5 1 0.3 -1.7 0.6 -0.3 0.8 -0.4 0.4 0.2 -0.3 1.9
2020 -1.2 -3.3 -5.7 -1.6 1.4 1.6 0.3 0.5 0.5 -1.1 0.6 0.6 -7.4
2021 1.1 1.6 -0.3 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart